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Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database
16 references·0 citing·41 second hop
Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database (2018)Slow Decay of Impact in Equity Markets: I…Trades, Quotes and Prices (2018)Trades, Quotes and PricesMarket Impacts and the Life Cycle of Investors Orders (2015)Market Impacts and the Life C…Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate (2015)Beyond the Square Root: Evide…A fully consistent, minimal model for non-linear market impact (2015)A fully consistent, minimal m…The non-linear market impact of large trades: evidence from buy-side order flow (2013)The non-linear market impact …How efficiency shapes market impact (2013)How efficiency shapes market …Measuring and Modeling Execution Cost and Risk (2012)Measuring and Modeling Execut…Measuring and Modeling Execution Cost and Risk (2011)Measuring and Modeling Execut…Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)Anomalous Price Impact and th…Market impact and trading profile of hidden orders in stock markets (2009)Market impact and trading pro…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…The Long Memory of the Efficient Market (2004)The Long Memory of the Effici…Price Manipulation and Quasi-Arbitrage (2004)Price Manipulation and Quasi-…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Scaling of the distribution of fluctuations of financial market indices (1999)Critical reflexivity in financial markets: a Hawkes process analysis (2013)Why is equity order flow so persistent? (2014)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Some comments on Hurst exponent and the long memory processes on capital markets (2008)Correlation of financial markets in times of crisis (2011)Econophysics review: I. Empirical facts (2011)The Econometrics of Financial Markets (2012)Inferring Trade Direction from Intraday Data (1991)Mutual Fund Flows and Performance in Rational Markets (2004)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Hawkes model for price and trades high-frequency dynamics (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Power Laws in Economics and Finance (2008)No-dynamic-arbitrage and market impact (2010)Power Laws in Economics: An Introduction (2016)Price, trade size, and information in securities markets (1987)Episodic Liquidity Crises: Cooperative and Predatory Trading (2007)Correlated Trading and Returns (2008)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)The Behavior of Stock Prices Around Institutional Trades (1995)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Optimal execution of portfolio transactions (2001)Optimization Methods in Finance (2006)Market Microstructure Invariance: Empirical Hypotheses (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Does the Stock Market Overreact? (1985)What really causes large price changes? (2004)An empirical behavioral model of liquidity and volatility (2007)Does herding affect volatility? Implications for the Spanish stock market (2010)Inefficient Markets (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case (2021)Long-term ecology of investors in a financial market (2018)Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (2023)Agent-Based Modeling in Economics and Finance: Past, Present, and Future (2025)
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References

  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2004The Long Memory of the Efficient Market365 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets229 cited
  • 2009Market impact and trading profile of hidden orders in stock markets219 cited
  • 2018Trades, Quotes and Prices159 cited
  • 2012Measuring and Modeling Execution Cost and Risk129 cited
  • 2015A fully consistent, minimal model for non-linear market impact111 cited
  • 2013The non-linear market impact of large trades: evidence from buy-side order flow96 cited
  • 2013How efficiency shapes market impact95 cited
  • 2015Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate90 cited
  • 2015Market Impacts and the Life Cycle of Investors Orders89 cited

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  • 2011Measuring and Modeling Execution Cost and Risk85 cited
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